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arXiv 0710.1729q-fin.GNphysics.data-anphysics.soc-ph
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从经销商动态看市场潜力随时间变化的依据

The Grounds For Time Dependent Market Potentials From Dealers' Dynamics

Kenta Yamada, Hideki Takayasu, Misako Takayasu

摘要:

我们将势力估计方法应用于由确定性交易者模型产生的人工市场价格时间序列。我们发现,经销商的反馈的线性预测的市场价格的基础上,最新的平均价格变化发挥了核心作用,在市场的潜在力量。当市场由具有正反馈的经销商主导时,所产生的势力是排斥的,而负反馈的作用增强了吸引势力。

英文摘要:

We apply the potential force estimation method to artificial time series of market price produced by a deterministic dealer model. We find that dealers' feedback of linear prediction of market price based on the latest mean price changes plays the central role in the market's potential force. When markets are dominated by dealers with positive feedback the resulting potential force is repulsive, while the effect of negative feedback enhances the attractive potential force.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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